V-Lab: Daechang Co Ltd Zero Slope Spline-GARCH Volatility Analysis

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V-Lab

Daechang Co Ltd Zero Slope Spline-GARCH Volatility Analysis

Volatility Prediction for Monday, April 22nd, 2024:55.70% (-3.46%)

Analysis last updated: Sunday, April 21, 2024 at 12:13 AM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	0.7480	6.37
$α$	0.1073	8.33
$β$	0.8104	36.58
$γ_{1}$	-0.0273	-0.56
$γ_{2}$	0.1061	1.55
$γ_{3}$	-0.2148	-4.21
$γ_{4}$	0.1827	2.68
$γ_{5}$	0.0486	0.65
$γ_{6}$	-0.2166	-3.14
$γ_{7}$	0.1626	1.95
$γ_{8}$	-0.0110	-0.08
$γ_{9}$	-0.0655	-0.46
$γ_{10}$	0.0448	0.50

Estimation Period:
Jan 3, 1990 to Apr 19, 2024

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Volatility Forecasts